如题

问题如下：

An investor sells a January 2019 call on the stock of XYZ Limited with a strike price of USD 50 for USD 10, and buys a January 2019 call on the same underlying stock with a strike price of USD 60 for USD 2. What is the name of this strategy, and what is the maximum profit and loss the investor could incur at expiration?

选项：

A.

Strategy: Bear spread Max Profit: USD 8 Max Loss: USD 2

B.

Strategy: Bear spread Max Profit: Unlimited Max Loss: USD 2

C.

Strategy: Bull spread Max Profit: USD 8 Max Loss: USD 2

D.

Strategy: Bull spread Max Profit: USD 8 Max Loss: Unlimited

解释：

This strategy of buying a call option at a higher strike price and selling a call option on the same security with the same maturity at a lower strike price is known as a bear spread. To establish a bull spread, one would buy a call option at a lower price and sell a call option on the same security with the same maturity at a higher strike price.

The cost of the bear spread strategy will be:

USD -10 + USD 2 = USD -8 (a negative cost, which represents an inflow of USD 8 to the investor)

The maximum payoff occurs when the stock price ST ≤ USD 50 and is equal to USD 8 (the cash inflow from establishing the position) as none of the options will be exercised. The maximum loss occurs when the stock price ST ≥ USD 60 at expiration, as both options will be exercised. The investor would then be forced to sell XYZ shares at USD 50 to meet the obligations on the call option sold, but could exercise the second call to buy the shares back at USD 60 for a loss of USD -10. However, since the investor received an inflow of USD 8 by establishing the strategy, the total profit would be USD 8 - USD 10 = USD -2.

When the stock price is USD 50 < ST ≤ USD 60, only the call option sold by the investor would be exercised, hence the payoff will be 50 - ST. Since the inflow from establishing the original strategy was USD 8, the net profit will be 58 - ST, which would always be higher than USD -2.